Asymmetric Spot‐futures Prices Adjustments in Quebec Grain Markets

(2018) used Wednesday weekly spot and futures closing prices for corn and soybeans in Ontario to show that spot prices of corn adjust more rapidly to an increase in future price than a decrease in future price while spot prices of soybean adjust more rapidly to a decrease in future prices than an increase in future prices. [...] γ0 is the intercept before the shift; γ1 is the estimated change in the intercept at the time of the shift; γ2 denotes the change in the trend and γ3 denotes the cointegrating slope coefficient before the regime shift. [...] 5 Results 5.1 Price series diagnosis This study tests the presence of unit root in prices series of corn and soybean for the three frequency time data: daily spot price in Quebec market, daily future prices, monthly spot prices in Quebec and Ontario markets. [...] Before cointegration analysis, Gregory and Hansen test is performed for eight bivariate prices relationships: corn spot in Quebec market and future, soybean spot in Quebec market and future corn spots in Quebec and Ontario markets, soybean spots in Quebec and Ontario markets. [...] 5.4 What happens between Quebec and Ontario markets To examine the dynamic relationship between spot price in Quebec market and spot price in Ontario market, this study estimates for corn and soybean a linear regression of monthly spot price in Quebec market on monthly spot price in Ontario market and break dummy time variable, and uses the residuals to threshold models.